<p>
  This tutorial implements a risk premia strategy that enters long-short positions in the forex market based on signals from a skewness indicator. The strategy is derived from the paper <a target=_BLANK href="https://arxiv.org/pdf/1409.7720.pdf"> “Risk Premia: Asymmetric Tail Risks and Excess Returns”</a> by Lemperiere, Deremble, Nguyen, Seager, Potters, and Bouchaud.
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<p>
  One of the pillars in modern finance theory is the concept of risk premium, which states the riskier an investment is today the more profitable it should be in the long run. Risk premia strategies aim to profit from risk premiums. Lemperiere et al. describe a positive linear relationship between the Sharpe ratio of risk premia strategies and their negative skewness. It provides extensive evidence that risk premium is indeed strongly correlated with the skewness of a strategy, not only in the equity world but also in currencies, options, credit, etc.
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